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An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series

Author

Listed:
  • Kei Katahira

    (Graduate School of Frontier Sciences, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa-shi, Chiba-ken 277-8563, Japan)

  • Yu Chen

    (Graduate School of Frontier Sciences, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa-shi, Chiba-ken 277-8563, Japan)

Abstract

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.

Suggested Citation

  • Kei Katahira & Yu Chen, 2020. "An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 319-325, July.
    • Handle: RePEc:wsi:nmncxx:v:16:y:2020:i:02:n:s1793005720500192
    DOI: 10.1142/S1793005720500192
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    Cited by:

    1. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).

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